This paper explains the observed combination of relatively low levels of democracy and positive attitudes towards it in the Muslim world. It argues that this democracy paradox is understandable from the perspective of the principle of diminishing marginal utility: people value highly that of which they have little. This reasoning implies, however, that surveys like the World Values Surveys (WVS) elicit circumstance-driven marginal preferences rather than culturally determined attitudinal traits. Empirical evidence showing that individuals living in undemocratic societies have much more favorable inclinations towards democracy supports our argument.